Nightly

Unpack the files in the archive to the folder of your choice, e.g. C:\Program Files\RetroArch\Nightly. This will be the base folder again.

Download the cores you want to use. The core for the Atari Lynx is handy_libretro.dll.zip. Alternatively you can skip this step and use the Core Update feature later.

Extract the cores and place them in the cores subfolder of your base folder.

Running Nightly build for first time

Double-click retroarch.exe. The welcome screen is shown:

Press X to accept. Select Core Selection from the menu and choose Lynx (Handy) from the list. Press X. Alternatively you can select Core Updater and pick the cores from there.

Go to Settings, Path Settings, Browser Directory and set it to your ROM directory by selecting subfolders, pressing X and finally selecting Use this directory. Back out to the main menu with Z.

Pick Load Content from the list. Select the ROM you want to use. Press X.

Troubleshooting

Only zip files are shown in the Load Content menuMake sure you have selected the Lynx (Handy) core from the Core Selection menu. The bottom line on the main menu should say the version number and the core that is loaded, such as 1.1 – Lynx (Handy).

There is nothing shown in the Load Content menuYou might have forgotten to set the Browser Directory from Settings, Path Settings.

Lynx games start immediately or not at all. No boot screen is shownThe lynxboot.img file is not in the system subfolder. This makes the games be booted in a different way. Some of the games (like Joust) will not even start properly. You can verify this under Core Information, where it should read (not status: missing, optional)

Framerate of Lynx games is too high (500+ fps)Probably a bug in the nightly build. I encountered this when I downloaded the build from 5th of April 2015. Might be fixed by the time you read this.